Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0573
Annualized Std Dev 0.2525
Annualized Sharpe (Rf=0%) -0.2269

Row

Daily Return Statistics

Close
Observations 3324.0000
NAs 1.0000
Minimum -0.1313
Quartile 1 -0.0065
Median 0.0002
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0070
Maximum 0.1287
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0004
Variance 0.0003
Stdev 0.0159
Skewness -0.6606
Kurtosis 10.3815

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0109
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.7461
Historical VaR (95%) -0.0236
Historical ES (95%) -0.0404
Modified VaR (95%) -0.0258
Modified ES (95%) -0.0557
From Trough To Depth Length To Trough Recovery
2007-11-07 2020-03-23 NA -0.7461 3267 3016 NA
2007-08-28 2007-09-10 2007-09-18 -0.0625 15 9 6
2007-10-01 2007-10-04 2007-10-15 -0.0515 11 4 7
2007-10-16 2007-10-22 2007-10-25 -0.0446 8 5 3
2007-08-16 2007-08-16 2007-08-22 -0.0418 5 1 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA 1.6 -1.5 -1.8 0.3 -0.9 -2.4
2008 1.8 -2.9 1 0 0.8 0.3 -1.7 0.2 -2 0.4 -5.9 3.9 -4.5
2009 -2 -0.4 1.7 3.8 2.5 0.6 0.5 -2.3 -3.4 -3.6 2.2 -0.6 -1.3
2010 2.2 1.5 2.7 -0.4 -2 -0.1 0.1 3.1 1 0 3.2 0.1 11.8
2011 3 -0.7 0.7 0.5 -1.2 1.5 0 -1.6 -1.8 -3.8 -0.2 0.5 -3.3
2012 1.1 0.4 -0.1 -0.4 -2.6 3.4 -2 0.4 -0.2 -0.9 -1 1.5 -0.6
2013 0.6 0.1 -1.6 -1.2 -0.9 1.7 1 0.2 0.6 -0.2 2.2 0.3 2.8
2014 -0.9 1.2 0.2 1 0.5 -0.2 -0.2 0.4 -0.8 1.5 0.3 -1.6 1.3
2015 -1.9 -0.2 0 0.2 0.8 0 1 -3.5 -1.4 0.2 1.3 -1.1 -4.5
2016 0.4 0.1 -1.2 0.3 0.6 0.7 0.3 -0.2 -1 1 -1.5 -0.1 -0.5
2017 -1.5 0.2 -0.7 -0.8 1.1 -0.2 0.5 -0.9 -0.7 -0.2 -0.5 0.5 -3
2018 -0.5 -0.2 0.7 -0.6 -0.5 0.3 -0.6 0.1 -0.5 0.1 -0.2 0.4 -1.4
2019 -1 0.1 0.2 -0.9 0.3 0.2 -0.8 0.2 -0.2 0.3 -0.1 0.4 -1.3
2020 -1.1 -2.7 -4.3 -2.3 1.3 1.1 -0.2 -0.8 0.7 -0.8 0.5 0.1 -8.1
2021 1.2 1.7 0.6 NA NA NA NA NA NA NA NA NA 3.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-08-15  113. SPY    141. -0.0138  -0.0587  -0.0886  -0.0697    0.110    0.316    0.585 GLD    66.1 -0.00240 -0.00960
2 2007-08-16  109. SPY    142.  0.0075  -0.0226  -0.0801  -0.0608    0.105    0.312    0.541 GLD    64.7 -0.0219  -0.0119 
3 2007-08-17  109. SPY    145.  0.0184   0       -0.0668  -0.0518    0.115    0.329    0.548 GLD    65.0  0.0051  -0.0234 
4 2007-08-20  111. SPY    145. -0.0005  -0.0041  -0.0577  -0.0518    0.112    0.315    0.552 GLD    65.1  0.0017  -0.0172 
5 2007-08-21  111. SPY    145.  0.002    0.0134  -0.0587  -0.0491    0.109    0.321    0.519 GLD    65.1 -0.0008  -0.0184 
6 2007-08-22  114. SPY    147.  0.0119   0.0398  -0.0307  -0.038     0.127    0.327    0.554 GLD    65.4  0.0051  -0.011  
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart